patches-own[

  strategy

  indicator

]

​

globals[

  price

  abs-price

  last-price

  last-price2

  P

  F

  F2

  fit

  returns

  str-random             ; random rumber for initial strategy selection

  talks-done             ; number of executed talks per tick

  talker-strategy        ; strategy of talking agent

  talks-per-round

​

  alpha                  ; random term for price and trading decisions

  beta

  sigma

  yota

​

  securities

  securities2

  securities3

  chart-orders

  chart-orders2

  chart-orders3

  fund-orders

  fund-orders2

  fund-orders3

  all-orders

​

  N

  NN

  NN2

  NN3

  N-save

  N2-save

  N-fund

  N2-fund

  N-chart

  N2-chart

​

  W-save

  W-fund

  W-chart

​

  fit-chart2

  fit-chart

  fit-fund2

  fit-fund

  fit-save2

  fit-save

​

  prob-change-chart-fund

  prob-change-fund-chart

  prob-change-chart-save

  prob-change-save-chart

  prob-change-fund-save

  prob-change-save-fund

​

  trans-prob-chart-save

  trans-prob-chart-fund

  trans-prob-save-chart

  trans-prob-save-fund

  trans-prob-fund-save

  trans-prob-fund-chart

​

  trans-prob

  min-trans-prob

​

  save2fund

  fund2save

​

  save-react-param

​

  ;Parameters Westerhoff

  prob_talk_change

  prob-indep-change

  memory

​

  price-adj-coeff

  rand-price-flucts

​

  rand-chart-shocks

  rand-deviat-fund

​

  chart_react_param

  fund-react-param

​

  shock

  fit2

]

​

to setup

  clear-all

  clear-all-plots

  setup-traders

​

  set N sum [indicator] of patches

  set N-chart sum [indicator] of patches with [strategy = 3]

  set N-fund sum [indicator] of patches with [strategy = 2]

  set N-save sum [indicator] of patches with [strategy = 1]

  set NN  (N-chart +  N-fund)

  set NN2 NN

  set NN3 NN2

  set N2-save 0

  set N2-fund 0

  set N2-chart 0

​

  set min-trans-prob 3 / count patches

  set talks-per-round (perc-talk / 200) * count patches

​

  set F 0

  set F2 F

  set returns 0

  set price F

  set abs-price 0

  set last-price F

  set last-price2 F

​

  set P 1

  set fit 1

  set fit2 1

               ; random term for price and trading decisions

  set securities 0

  set securities2 0

  set securities3 0

  set chart-orders 0

  set chart-orders2 0

  set chart-orders3 0

  set fund-orders 0

  set fund-orders2 0

  set fund-orders3 0

  set all-orders 0

​

  set W-save 0

  set W-fund 0

  set W-chart 0

​

  set fit-chart2 0

  set fit-chart 0

  set fit-fund2 0

  set fit-fund 0

  set fit-save2 0

  set fit-save 0

​

  set save2fund True

  set fund2save True

​

  set save-react-param 0.05

​

  ;Parameters Westerhoff

  set prob_talk_change 0.45

  set prob-indep-change 0.1

  set memory 0.95

​

  set price-adj-coeff 0.9

  set rand-price-flucts 0.005

​

  set rand-chart-shocks 0.075

  set rand-deviat-fund 0.085

​

  set chart_react_param 0.06

  set fund-react-param 0.01

​

  set shock 0

​

  reset-ticks

end

​

to setup-traders

  ;let total-pop (savers-pop + fundis-pop + chartis-pop)

​

  ask patches

    [

    set indicator  1

    set str-random (random-float 1.0)

    ifelse str-random < (1 / 3)

      [ set strategy 1

        set pcolor green]

      [ ifelse str-random < (2 / 3)

        [ set strategy 3

          set pcolor red]

        [ set strategy 2

          set pcolor blue]

      ]

    ]

end

​

to go

  if ticks >= steps [

    stop

  ]

  if ticks >  2 [talk-and-learn]

  market-mechanics

  tick

end

​

to positiv-shock

  if shock = 0 [set shock 1]

  if shock = -1 [set shock 0]

end

​

to negativ-shock

  if shock = 0 [set shock -1]

  if shock = 1 [set shock 0]

end

​

to market-mechanics

​

  calculate-orders

  calculate-weights

  price-mechanics

  calculate-fitness

  change-probability

​

end

​

to talk-and-learn

  set talks-done 0

  while [talks-per-round >= talks-done]

  [

    ask patch random-xcor random-ycor                                    ; select listening agent

    [

      set talker-strategy [strategy] of patch random-xcor random-ycor    ; select talking agent with strategy

      if not (strategy = talker-strategy)

      [

        if talker-strategy = 1   ; Learn Saving

        [

          if strategy = 2 and (fit-save > fit-fund) and  (trans-prob-fund-save > min-trans-prob) and (fund2save = True)         ; Fundamentalist learns Saving

          [ set strategy 1

            set pcolor green  ]

          if strategy = 3 and (fit-save > fit-chart) and (trans-prob-chart-save  >  min-trans-prob)           ; Chartist learns Saving

          [ set strategy 1

            set pcolor green  ]

        ]

        if talker-strategy = 2   ; Learn Fundamental Trading

        [

          if strategy = 1 and (fit-fund > fit-save) and (trans-prob-save-fund > min-trans-prob) and (save2fund = True)           ; Saver learns Fundamentals

          [ set strategy 2

            set pcolor blue  ]

          if strategy = 3 and (fit-fund > fit-chart) and (trans-prob-chart-fund > min-trans-prob)           ; chartist learns fundamentals

          [ set strategy 2

            set pcolor blue  ]

        ]

        if talker-strategy = 3   ; Learn Chart Trading

        [

          if strategy = 1 and (fit-chart > fit-save) and (trans-prob-save-chart > min-trans-prob)             ; Saver learns Charts

          [ set strategy 3

            set pcolor red  ]

          if strategy = 2 and (fit-chart > fit-fund) and (trans-prob-fund-chart > min-trans-prob)        ; Fundamentalist learns to follow Charts

          [ set strategy 3

            set pcolor red  ]

        ]

      ]

    ]

    set talks-done talks-done + 1

  ]

end

​

to calculate-orders

     ; set random variables

  set beta   random-normal 0  rand-chart-shocks

  set yota   random-normal 0  rand-deviat-fund

​

      ; calculate security orders

  set securities3 securities2

  set securities2 securities

  set securities (save-react-param * return-on-savings)

      ; calculate chartist orders

  set chart-orders3 chart-orders2

  set chart-orders2 chart-orders

  set chart-orders (chart_react_param *  (price - last-price) + beta)

      ; calculate fundamental orders

  set fund-orders3 fund-orders2

  set fund-orders2 fund-orders

  set fund-orders (fund-react-param * (F - price) + yota)

  set all-orders (abs chart-orders + abs fund-orders)

end

​

to calculate-weights

  set N2-chart N-chart

  set N2-fund N-fund

  set N2-save N-save

  set N-chart sum [indicator] of patches with [strategy = 3]

  set W-chart (N-chart / N)

  set N-fund sum [indicator] of patches with [strategy = 2]

  set W-fund (N-fund / N)

  set N-save sum [indicator] of patches with [strategy = 1]

  set W-save (N-save / N)

  set NN2 NN

  set NN3 NN2

  set NN (N2-chart + N2-fund)

end

​

to price-mechanics

  set alpha  random-normal 0 rand-price-flucts

    ; update price

  set last-price2 last-price

  set last-price price

​

  set F2 F

​

  set F shock

  set price (last-price + price-adj-coeff * (chart-orders * W-chart + fund-orders * W-fund) + alpha)

  ;set abs-price (abs price)

​

  set fit exp(0.0012) ^ ticks

  set fit2 fit + fit * shock / 2

  set P fit + ( price * fit / 2 )

​

  ifelse last-price = 0

  [set returns 0.0]

  [set returns (price - last-price)]

end

​

to calculate-fitness

    ; calculate  fitness of strategie

  set fit-chart2 fit-chart

  set fit-fund2 fit-fund

  set fit-save2 fit-save

  set fit-chart (((exp price) - (exp last-price)) * chart-orders3 + memory * fit-chart2)

  set fit-fund (((exp price) - (exp last-price)) * fund-orders3 + memory * fit-fund2)

  set fit-save  ((exp return-on-savings) * securities3 + memory * fit-save2)

end

​

to change-probability

    ; Probability of strategy change

  if (fit-chart > fit-fund)

  [

    set prob-change-chart-fund 0.5 - prob_talk_change

    set prob-change-fund-chart 0.5 + prob_talk_change

  ]

  if (fit-fund > fit-chart)

  [

    set prob-change-chart-fund 0.5 + prob_talk_change

    set prob-change-fund-chart 0.5 - prob_talk_change

  ]

  if (fit-chart > fit-save)

  [

    set prob-change-chart-save 0.5 - prob_talk_change

    set prob-change-save-chart 0.5 + prob_talk_change

  ]

  if (fit-save > fit-chart)

  [

    set prob-change-chart-save 0.5 + prob_talk_change

    set prob-change-save-chart 0.5 - prob_talk_change

  ]

  if (fit-save > fit-fund)

  [

    set prob-change-fund-save 0.5 + prob_talk_change

    set prob-change-save-fund 0.5 - prob_talk_change

  ]

  if (fit-fund > fit-save)

  [

    set prob-change-fund-save 0.5 - prob_talk_change

    set prob-change-save-fund 0.5 + prob_talk_change

  ]

  set trans-prob-chart-save (W-chart * (prob-indep-change + prob-change-chart-save * W-save))

  set trans-prob-chart-fund (W-chart * (prob-indep-change + prob-change-chart-fund * W-fund))

  set trans-prob-save-chart (W-save * (prob-indep-change + prob-change-save-chart * W-chart))

  set trans-prob-save-fund (W-save * (prob-indep-change + prob-change-save-fund * W-fund))

  set trans-prob-fund-save (W-fund * (prob-indep-change + prob-change-fund-save * W-save))

  set trans-prob-fund-chart (W-fund * (prob-indep-change + prob-change-fund-chart * W-chart))

​

  set trans-prob ( trans-prob-chart-save + trans-prob-chart-fund + trans-prob-save-chart +

                   trans-prob-save-fund + trans-prob-fund-save + trans-prob-fund-chart )

end